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Database and Methods
new 01-08-2025
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Managed Volatility
portfolio_name: - beta_brasil risk_target: - ibovfut_av: 2 - brlusdfut_av: 1 - dif3yfut_av: 2 allocation method: - vol running allocation...
clusters_weights_resampled
| smll_av | brlusdfut_av | dif3yfut_av | |
|---|---|---|---|
| 1998-12-31 | 0.511317 | 0.340248 | 0.478290 |
| 1999-01-28 | 0.494910 | 0.117648 | 0.437679 |
| 1999-02-25 | 0.492232 | 0.116226 | 0.442523 |
| 1999-03-25 | 0.480166 | 0.114722 | 0.442452 |
| 1999-04-29 | 0.483165 | 0.113492 | 0.441889 |
| ... | ... | ... | ... |
| 2025-03-27 | 0.609365 | 0.277898 | 0.492721 |
| 2025-04-24 | 0.588975 | 0.270443 | 0.490933 |
| 2025-05-29 | 0.588138 | 0.271228 | 0.500357 |
| 2025-06-26 | 0.591941 | 0.276001 | 0.518153 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 |
320 rows × 3 columns
clusters_weights
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.511317 | 0.340248 | 0.478290 | -0.329855 |
| 1999-01-01 | 0.511318 | 0.340247 | 0.478291 | -0.329856 |
| 1999-01-04 | 0.507028 | 0.344513 | 0.475216 | -0.326758 |
| 1999-01-05 | 0.503329 | 0.347161 | 0.473557 | -0.324047 |
| 1999-01-06 | 0.501633 | 0.347617 | 0.473380 | -0.322631 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 0.583327 | 0.281609 | 0.528702 | -0.393638 |
| 2025-07-29 | 0.580577 | 0.281181 | 0.528932 | -0.390690 |
| 2025-07-30 | 0.584039 | 0.279832 | 0.524403 | -0.388275 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
| 2025-08-01 | 0.576859 | 0.282246 | 0.526405 | -0.385510 |
6937 rows × 4 columns
clusters_weights (pack_only)
| dif3yfut | smal11_excdi | usdbrlfut | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.184039 | 0.000000 | -3.892852 | 1.0 |
| 1999-01-01 | 0.190262 | 0.000000 | -3.950090 | 1.0 |
| 1999-01-04 | 0.189039 | 0.000000 | -3.999551 | 1.0 |
| 1999-01-05 | 0.188372 | 0.000000 | -4.012046 | 1.0 |
| 1999-01-06 | 0.188271 | 0.000000 | -4.008558 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.052535 | 0.271806 | -0.254412 | 1.0 |
| 2025-07-29 | 1.053655 | 0.273050 | -0.253965 | 1.0 |
| 2025-07-30 | 1.044527 | 0.272807 | -0.253344 | 1.0 |
| 2025-07-31 | 1.049492 | 0.257064 | -0.255533 | 1.0 |
| 2025-08-01 | 1.054336 | 0.256944 | -0.255920 | 1.0 |
6937 rows × 4 columns
securities_weights
| dif3yfut | smal11_excdi | usdbrlfut | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.184039 | 0.000000 | -3.892852 | 1.0 |
| 1999-01-01 | 0.190262 | 0.000000 | -3.950090 | 1.0 |
| 1999-01-04 | 0.189039 | 0.000000 | -3.999551 | 1.0 |
| 1999-01-05 | 0.188372 | 0.000000 | -4.012046 | 1.0 |
| 1999-01-06 | 0.188271 | 0.000000 | -4.008558 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.052535 | 0.271806 | -0.254412 | 1.0 |
| 2025-07-29 | 1.053655 | 0.273050 | -0.253965 | 1.0 |
| 2025-07-30 | 1.044527 | 0.272807 | -0.253344 | 1.0 |
| 2025-07-31 | 1.049492 | 0.257064 | -0.255533 | 1.0 |
| 2025-08-01 | 1.054336 | 0.256944 | -0.255920 | 1.0 |
6937 rows × 4 columns
cota_gross
date
1998-12-31 1.000000
1999-01-01 0.999997
1999-01-04 1.009145
1999-01-05 1.017254
1999-01-06 1.021389
...
2025-07-28 22.930489
2025-07-29 23.098502
2025-07-30 23.237234
2025-07-31 22.978805
2025-08-01 22.978796
Length: 6937, dtype: float64
cota_net
date
1998-12-31 1.000000
1999-01-01 0.999997
1999-01-04 1.009143
1999-01-05 1.017253
1999-01-06 1.021387
...
2025-07-28 22.830005
2025-07-29 22.997289
2025-07-30 23.135411
2025-07-31 22.878082
2025-08-01 22.878073
Length: 6937, dtype: float64
running sizing...
clusters_weights_resampled_sized
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| 1998-12-31 | NaN | NaN | NaN | NaN |
| 1999-01-28 | 0.049491 | 0.011765 | 0.043768 | -0.005024 |
| 1999-01-29 | 0.496140 | 0.116992 | 0.437169 | -0.050301 |
| 1999-02-25 | 0.492232 | 0.116226 | 0.442523 | -0.050981 |
| 1999-03-25 | 0.480166 | 0.114722 | 0.442452 | -0.037340 |
| ... | ... | ... | ... | ... |
| 2025-03-27 | 0.609365 | 0.277898 | 0.492721 | -0.379984 |
| 2025-04-24 | 0.588975 | 0.270443 | 0.490933 | -0.350352 |
| 2025-05-29 | 0.588138 | 0.271228 | 0.500357 | -0.359723 |
| 2025-06-26 | 0.591941 | 0.276001 | 0.518153 | -0.386094 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
427 rows × 4 columns
clusters_weights_sized
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | NaN | NaN | NaN | 1.000000 |
| 1999-01-01 | NaN | NaN | NaN | 1.000000 |
| 1999-01-04 | NaN | NaN | NaN | 1.000000 |
| 1999-01-05 | NaN | NaN | NaN | 1.000000 |
| 1999-01-06 | NaN | NaN | NaN | 1.000000 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 0.586142 | 0.282968 | 0.531253 | -0.400362 |
| 2025-07-29 | 0.583485 | 0.282590 | 0.531581 | -0.397657 |
| 2025-07-30 | 0.587075 | 0.281286 | 0.527129 | -0.395490 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
| 2025-08-01 | 0.576859 | 0.282246 | 0.526405 | -0.385510 |
6937 rows × 4 columns
clusters_weights_sized (pack_only)
| dif3yfut | smal11_excdi | usdbrlfut | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-01 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-04 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-05 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-06 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.057614 | 0.273118 | -0.255640 | 1.0 |
| 2025-07-29 | 1.058933 | 0.274417 | -0.255237 | 1.0 |
| 2025-07-30 | 1.049956 | 0.274225 | -0.254660 | 1.0 |
| 2025-07-31 | 1.049492 | 0.257064 | -0.255533 | 1.0 |
| 2025-08-01 | 1.054336 | 0.256944 | -0.255920 | 1.0 |
6937 rows × 4 columns
securities_weights
| dif3yfut | smal11_excdi | usdbrlfut | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-01 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-04 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-05 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-06 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.057614 | 0.273118 | -0.255640 | 1.0 |
| 2025-07-29 | 1.058933 | 0.274417 | -0.255237 | 1.0 |
| 2025-07-30 | 1.049956 | 0.274225 | -0.254660 | 1.0 |
| 2025-07-31 | 1.049492 | 0.257064 | -0.255533 | 1.0 |
| 2025-08-01 | 1.054336 | 0.256944 | -0.255920 | 1.0 |
6937 rows × 4 columns
cota_gross_sized
date
1998-12-31 1.000000
1999-01-01 1.000000
1999-01-04 1.001012
1999-01-05 1.002021
1999-01-06 1.003030
...
2025-07-28 35.954939
2025-07-29 36.219557
2025-07-30 36.438086
2025-07-31 36.030636
2025-08-01 36.030621
Length: 6937, dtype: float64
cota_net_sized
date
1998-12-31 1.000000
1999-01-01 1.000000
1999-01-04 1.001012
1999-01-05 1.002021
1999-01-06 1.003030
...
2025-07-28 35.557195
2025-07-29 35.818898
2025-07-30 36.035006
2025-07-31 35.632011
2025-08-01 35.631997
Length: 6937, dtype: float64
beta_brasil
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.0 | 1.1 | 14.2 | -3.1 | 4.6 | 4.5 | 35.7 |
| 2006 | 10.2 | 6.3 | -1.6 | 2.1 | -10.0 | 5.0 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 39.8 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.7 | -0.5 | -7.4 | 5.1 | 2.8 | -4.4 | -1.2 | 12.6 |
| 2008 | -2.2 | 4.4 | -5.3 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.5 | -5.4 | 1.9 | 7.8 | -3.1 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.7 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.4 |
| 2011 | -7.1 | 3.5 | 2.5 | 3.6 | 2.1 | -0.8 | -3.0 | 7.1 | -6.8 | 7.2 | 2.3 | -4.5 | 6.1 |
| 2012 | 8.9 | 5.9 | 0.6 | 4.6 | -3.9 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.6 |
| 2013 | -0.1 | -1.5 | -3.3 | 4.5 | -9.6 | -13.2 | -0.7 | -5.6 | 5.3 | 0.8 | -3.5 | -0.5 | -27.4 |
| 2014 | -5.5 | 4.5 | 2.4 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -9.9 | -0.0 | 1.3 | -4.7 | 0.6 |
| 2015 | -0.7 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.0 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 1.0 | -3.5 | 0.7 | 5.9 | 3.0 | 2.4 | -1.6 | -0.9 | 3.4 | 22.3 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -3.7 | 4.5 | -6.6 | 0.7 | 11.8 | 1.7 | 2.7 | 8.6 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.3 | 27.8 |
| 2020 | 0.4 | -2.2 | -12.2 | -1.1 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -5.7 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.3 | 1.5 | 4.6 | -11.9 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.8 | 3.0 | -5.7 | 0.5 | 2.4 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.3 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.2 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -1.4 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.1 | -5.8 | -24.6 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | -0.0 | – | – | – | – | 19.4 |
beta_brasil_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.1 | 1.1 | 12.5 | -3.2 | 4.6 | 4.5 | 33.8 |
| 2006 | 10.2 | 6.4 | -2.7 | 2.1 | -10.4 | 4.9 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 38.3 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.5 | -1.2 | -4.4 | 5.1 | 2.8 | -4.4 | -1.3 | 15.0 |
| 2008 | -2.2 | 4.4 | -5.4 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.1 | -5.4 | 1.9 | 7.8 | -2.8 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.4 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.1 |
| 2011 | -7.1 | 3.6 | 2.5 | 3.6 | 2.1 | -0.8 | -3.1 | 7.2 | -3.8 | 5.8 | 2.3 | -4.5 | 7.8 |
| 2012 | 8.9 | 6.0 | 0.6 | 4.6 | -3.8 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.8 |
| 2013 | -0.1 | -1.5 | -3.4 | 4.5 | -9.6 | -7.4 | -0.7 | -5.5 | 5.3 | 0.8 | -3.5 | -0.5 | -21.6 |
| 2014 | -5.5 | 4.5 | 2.5 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -10.2 | 0.3 | 1.3 | -4.7 | 0.7 |
| 2015 | -0.8 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.1 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 0.9 | -3.5 | 0.7 | 5.9 | 3.1 | 2.4 | -1.6 | -0.9 | 3.5 | 22.4 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -1.8 | 4.3 | -4.8 | 1.0 | 12.4 | 1.7 | 2.7 | 13.0 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.4 | 27.9 |
| 2020 | 0.4 | -2.2 | -8.3 | -1.9 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -2.6 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.0 | 1.4 | 4.6 | -11.7 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.7 | 2.9 | -5.3 | 0.5 | 2.6 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.4 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.3 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -0.5 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.2 | -4.0 | -22.0 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | -0.0 | – | – | – | – | 19.4 |
Total: 5.15653657913208
beta_brasil
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.0 | 1.1 | 14.2 | -3.1 | 4.6 | 4.5 | 35.7 |
| 2006 | 10.2 | 6.3 | -1.6 | 2.1 | -10.0 | 5.0 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 39.8 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.7 | -0.5 | -7.4 | 5.1 | 2.8 | -4.4 | -1.2 | 12.6 |
| 2008 | -2.2 | 4.4 | -5.3 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.5 | -5.4 | 1.9 | 7.8 | -3.1 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.7 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.4 |
| 2011 | -7.1 | 3.5 | 2.5 | 3.6 | 2.1 | -0.8 | -3.0 | 7.1 | -6.8 | 7.2 | 2.3 | -4.5 | 6.1 |
| 2012 | 8.9 | 5.9 | 0.6 | 4.6 | -3.9 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.6 |
| 2013 | -0.1 | -1.5 | -3.3 | 4.5 | -9.6 | -13.2 | -0.7 | -5.6 | 5.3 | 0.8 | -3.5 | -0.5 | -27.4 |
| 2014 | -5.5 | 4.5 | 2.4 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -9.9 | -0.0 | 1.3 | -4.7 | 0.6 |
| 2015 | -0.7 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.0 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 1.0 | -3.5 | 0.7 | 5.9 | 3.0 | 2.4 | -1.6 | -0.9 | 3.4 | 22.3 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -3.7 | 4.5 | -6.6 | 0.7 | 11.8 | 1.7 | 2.7 | 8.6 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.3 | 27.8 |
| 2020 | 0.4 | -2.2 | -12.2 | -1.1 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -5.7 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.3 | 1.5 | 4.6 | -11.9 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.8 | 3.0 | -5.7 | 0.5 | 2.4 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.3 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.2 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -1.4 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.1 | -5.8 | -24.6 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | -0.0 | – | – | – | – | 19.4 |
beta_brasil_timing_long_bias
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.0 | 0.8 | -0.1 | 0.5 | 0.8 | 1.4 | -0.6 | -0.5 | 15.0 | -5.7 | 1.2 | 7.8 | 20.6 |
| 2006 | 10.9 | 5.8 | -3.4 | -0.6 | -2.0 | 2.3 | 2.6 | 2.8 | 2.1 | 5.7 | 8.4 | 7.9 | 42.5 |
| 2007 | -2.1 | 0.8 | 2.1 | 7.5 | 7.4 | -2.0 | -1.1 | -0.2 | 2.5 | 1.8 | -1.3 | 0.3 | 15.7 |
| 2008 | 0.0 | 2.4 | -1.6 | 1.6 | 2.3 | -1.5 | 2.2 | 2.4 | 1.2 | -0.1 | 2.0 | 10.1 | 21.0 |
| 2009 | 2.5 | 2.3 | 3.1 | 5.8 | 4.8 | -1.2 | 3.3 | 2.7 | 2.3 | 0.5 | 3.7 | 2.5 | 32.3 |
| 2010 | 1.9 | 0.6 | -0.1 | -1.2 | 2.8 | 0.7 | 6.9 | 5.4 | -0.9 | 3.2 | -2.1 | 0.1 | 17.3 |
| 2011 | -1.1 | 0.2 | 0.7 | 0.7 | 1.6 | -1.1 | -0.2 | 14.4 | 8.3 | 0.0 | 6.5 | -4.3 | 25.7 |
| 2012 | 3.3 | 5.6 | 3.8 | 9.2 | 6.0 | 1.9 | 1.2 | 2.0 | 1.8 | 5.2 | 0.5 | 3.2 | 43.7 |
| 2013 | -2.1 | -0.2 | -0.4 | 0.3 | 1.5 | 1.1 | 0.5 | 0.4 | 0.7 | -0.2 | -0.3 | 0.4 | 1.7 |
| 2014 | 0.4 | 0.9 | 0.6 | 0.2 | 4.0 | 1.0 | 0.8 | 4.1 | -1.7 | -1.2 | 2.4 | -0.8 | 10.7 |
| 2015 | 1.7 | 2.1 | 2.6 | -0.5 | 1.6 | -1.9 | 1.9 | 0.9 | 2.3 | 0.2 | -0.4 | -0.0 | 10.5 |
| 2016 | 2.9 | 1.7 | 7.7 | 4.7 | -1.6 | 0.5 | 6.6 | -0.0 | 0.7 | 3.4 | -2.2 | 0.9 | 25.3 |
| 2017 | 6.4 | 4.2 | 0.6 | 0.0 | -10.0 | 0.8 | 5.1 | 3.8 | 3.0 | -1.0 | -1.0 | 2.2 | 14.1 |
| 2018 | 2.6 | 1.2 | 1.9 | 1.4 | 0.6 | 1.3 | 0.4 | 1.0 | 0.5 | 9.7 | 3.4 | 2.3 | 26.3 |
| 2019 | 5.7 | -1.5 | -0.4 | -0.4 | 3.6 | 7.1 | 4.2 | 0.5 | 3.4 | 3.6 | 0.3 | 5.1 | 31.2 |
| 2020 | 3.7 | 2.6 | -2.0 | -1.5 | 1.3 | 2.8 | 2.8 | -2.0 | -1.0 | -0.9 | 1.4 | 4.1 | 11.3 |
| 2021 | -2.2 | -0.2 | -0.6 | 0.9 | 1.2 | -0.5 | -1.5 | -0.2 | 0.9 | 0.2 | 0.3 | 1.9 | 0.2 |
| 2022 | 0.4 | -2.0 | 2.2 | -1.1 | -0.3 | 1.9 | 1.2 | 4.5 | -1.0 | -1.5 | -1.6 | 1.2 | 3.9 |
| 2023 | -1.1 | -0.0 | 2.3 | 0.7 | 7.5 | 5.3 | 1.1 | -1.1 | -0.2 | -0.4 | 4.1 | 4.2 | 22.4 |
| 2024 | -2.9 | -1.6 | -1.0 | 0.6 | -0.2 | 2.7 | -0.3 | 0.7 | -1.7 | 2.4 | 1.2 | 1.2 | 1.1 |
| 2025 | -0.3 | -0.3 | 0.9 | 5.4 | 2.4 | 1.4 | -2.1 | -0.0 | – | – | – | – | 7.4 |
beta_brasil_timing
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.6 | 0.4 | -0.2 | 1.3 | 1.5 | 1.6 | -1.4 | -1.0 | 15.3 | -6.3 | -0.8 | 6.2 | 17.2 |
| 2006 | 12.5 | 6.2 | -4.4 | -0.5 | 4.2 | 0.7 | 1.7 | 1.8 | 0.9 | 5.2 | 7.8 | 8.5 | 44.6 |
| 2007 | -2.3 | 0.1 | 2.0 | 7.4 | 9.3 | -2.7 | 1.1 | 6.2 | 1.8 | 4.2 | 2.0 | 3.2 | 32.3 |
| 2008 | 3.9 | 1.3 | 2.9 | 1.3 | 2.9 | 4.7 | 0.8 | 4.8 | 7.7 | 5.0 | 0.7 | 10.1 | 46.1 |
| 2009 | 4.3 | 2.4 | 4.0 | 6.8 | 6.7 | -1.3 | 3.3 | 2.3 | 4.0 | 1.5 | 3.6 | 1.8 | 39.4 |
| 2010 | 1.0 | -1.0 | -0.7 | 1.2 | 1.9 | -0.7 | 5.8 | 5.2 | 0.4 | 1.2 | -0.2 | -0.6 | 13.5 |
| 2011 | 8.5 | -3.2 | 0.4 | 0.4 | 0.9 | 1.4 | 5.6 | 16.7 | 9.6 | -1.7 | 5.5 | -4.3 | 39.8 |
| 2012 | 2.2 | 5.7 | 1.8 | 8.5 | 13.4 | -0.6 | -0.6 | 1.0 | 1.6 | 5.3 | -0.1 | 4.0 | 42.2 |
| 2013 | 0.1 | 3.2 | 1.6 | -3.6 | 7.8 | 16.4 | 0.4 | 3.4 | -1.2 | -1.6 | 1.6 | 1.2 | 29.3 |
| 2014 | 7.8 | -1.0 | 1.1 | -0.2 | 3.4 | 1.1 | 1.6 | 2.3 | 4.0 | -2.4 | 1.6 | 4.5 | 23.8 |
| 2015 | 3.8 | 1.4 | 4.1 | -1.5 | 0.6 | -0.9 | 1.9 | 9.1 | 6.8 | -0.9 | -0.3 | 2.2 | 26.3 |
| 2016 | 5.0 | -0.9 | 8.2 | 4.3 | -1.8 | -1.6 | 6.2 | -0.3 | -1.5 | 3.7 | -2.5 | 0.8 | 19.6 |
| 2017 | 5.7 | 4.1 | 0.1 | -1.4 | -15.8 | 0.5 | 5.8 | 3.4 | 2.8 | -1.2 | -0.4 | -0.4 | 3.2 |
| 2018 | 3.2 | 0.5 | 1.1 | -0.2 | 8.1 | 5.8 | -3.0 | 6.1 | 0.4 | 8.3 | 2.4 | 0.9 | 33.6 |
| 2019 | 7.0 | -2.5 | -2.4 | -1.9 | 2.7 | 7.4 | 4.1 | -0.9 | 2.7 | 3.3 | -0.0 | 5.4 | 24.9 |
| 2020 | 2.4 | 4.6 | 3.8 | -3.9 | 0.8 | 1.8 | 2.8 | -3.3 | 0.1 | -0.7 | 0.3 | 4.2 | 12.9 |
| 2021 | -3.0 | 1.7 | -1.9 | -0.4 | 1.6 | 0.6 | 0.2 | 4.1 | 5.1 | 11.3 | -1.2 | -1.5 | 16.6 |
| 2022 | 2.6 | -1.2 | 2.6 | 1.7 | 0.4 | 8.9 | -0.0 | 1.8 | -3.8 | -4.8 | 4.3 | 1.6 | 14.1 |
| 2023 | -2.5 | 2.5 | 2.4 | -0.0 | 5.6 | 5.6 | 1.2 | -0.1 | 1.7 | 3.4 | -0.1 | 4.5 | 24.2 |
| 2024 | -3.9 | -2.6 | -2.4 | 7.5 | 0.9 | 6.3 | -3.1 | -0.9 | 1.2 | 4.8 | 6.9 | 9.0 | 23.7 |
| 2025 | -5.0 | -0.2 | -1.2 | 2.6 | 1.9 | 2.0 | -0.7 | -0.0 | – | – | – | – | -0.6 |
beta_brasil_timing_lo
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.1 | 1.1 | 0.6 | 1.4 | 1.5 | 2.2 | -0.0 | 0.2 | 15.3 | -4.3 | -0.2 | 6.5 | 25.4 |
| 2006 | 11.1 | 6.2 | -2.8 | -1.8 | 0.0 | 1.6 | 2.7 | 2.6 | 1.8 | 5.2 | 8.1 | 7.9 | 42.6 |
| 2007 | -1.9 | 0.8 | 2.0 | 6.8 | 7.3 | -1.7 | 0.6 | 0.9 | 1.9 | 1.3 | -0.3 | 0.6 | 18.3 |
| 2008 | 0.4 | 1.2 | -1.1 | 0.7 | 3.2 | -0.4 | 1.1 | 1.4 | 3.0 | 2.0 | 1.7 | 9.8 | 23.0 |
| 2009 | 2.2 | 1.7 | 3.0 | 6.4 | 4.5 | -1.1 | 2.5 | 2.5 | 2.6 | 1.6 | 3.5 | 2.6 | 32.0 |
| 2010 | 1.8 | 0.2 | -0.5 | 0.6 | 1.8 | 0.8 | 5.7 | 5.6 | -0.4 | 2.2 | -0.6 | 0.9 | 18.1 |
| 2011 | -0.4 | 0.8 | 1.1 | 0.7 | 1.4 | -0.1 | 0.7 | 13.2 | 6.9 | -1.2 | 6.3 | -3.8 | 25.6 |
| 2012 | 2.6 | 4.9 | 2.1 | 8.9 | 5.8 | 1.2 | 0.7 | 1.3 | 1.8 | 5.1 | -0.3 | 3.6 | 37.7 |
| 2013 | -1.6 | 0.3 | 0.8 | 0.6 | 1.9 | -1.0 | 0.8 | 0.2 | 0.9 | 0.1 | -0.0 | 1.0 | 4.0 |
| 2014 | 0.7 | 0.2 | 0.7 | 0.1 | 3.2 | 1.0 | 1.4 | 3.5 | 1.6 | -0.7 | 1.9 | 0.3 | 13.9 |
| 2015 | 0.6 | 2.1 | 3.2 | -0.5 | 1.0 | -0.1 | 1.1 | 1.3 | 1.8 | 0.3 | 0.3 | 0.2 | 11.3 |
| 2016 | 1.7 | 1.5 | 7.3 | 3.6 | -1.6 | 0.5 | 6.2 | 0.2 | -0.1 | 3.4 | -1.2 | 1.4 | 22.9 |
| 2017 | 6.0 | 3.9 | 0.6 | -0.7 | -9.9 | 0.9 | 4.5 | 3.7 | 2.8 | -1.2 | 0.1 | 1.8 | 12.5 |
| 2018 | 2.4 | 1.2 | 1.8 | 0.8 | 2.5 | 1.3 | -1.3 | 2.0 | 0.1 | 8.9 | 2.4 | 1.1 | 23.2 |
| 2019 | 6.1 | -2.1 | -0.2 | -1.1 | 3.3 | 7.3 | 4.3 | -0.2 | 2.7 | 3.7 | 0.2 | 5.2 | 29.2 |
| 2020 | 3.0 | 3.2 | -1.4 | -1.5 | 0.8 | 2.1 | 3.0 | -2.2 | -0.1 | -1.0 | 2.1 | 3.8 | 11.8 |
| 2021 | -1.9 | -0.5 | -0.5 | 0.3 | 0.9 | 0.3 | -1.0 | 0.2 | 0.9 | 1.1 | 0.3 | 0.3 | 0.4 |
| 2022 | 0.9 | -1.1 | 2.5 | -0.5 | 0.8 | 2.0 | 1.2 | 1.9 | -2.8 | -2.1 | -0.6 | 1.2 | 3.4 |
| 2023 | -0.5 | 0.7 | 2.1 | 0.9 | 6.2 | 5.5 | 0.6 | -0.7 | 0.9 | 0.5 | 3.4 | 4.4 | 24.0 |
| 2024 | -3.0 | -1.3 | -0.9 | 0.8 | 0.3 | 2.8 | -0.7 | 0.1 | -0.5 | 2.4 | 2.0 | 1.6 | 3.6 |
| 2025 | -0.0 | -0.1 | 0.5 | 4.0 | 2.3 | 0.7 | -1.6 | -0.0 | – | – | – | – | 5.8 |
beta_brasil_timing_so
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.9 | 0.4 | 0.7 | 1.3 | 1.5 | 0.9 | 0.1 | 0.5 | 1.5 | -0.8 | 0.8 | 1.2 | 9.0 |
| 2006 | 2.7 | 1.1 | -0.2 | 2.4 | 5.6 | 0.3 | 0.2 | 0.5 | 0.1 | 1.1 | 0.7 | 1.6 | 16.1 |
| 2007 | 0.7 | 0.2 | 1.0 | 1.5 | 2.9 | -0.1 | 1.4 | 6.4 | 0.7 | 3.7 | 3.1 | 3.4 | 24.9 |
| 2008 | 4.5 | 0.8 | 4.9 | 1.5 | 0.5 | 6.1 | 0.8 | 4.4 | 5.8 | 4.3 | 0.1 | 1.4 | 35.1 |
| 2009 | 3.0 | 1.5 | 2.0 | 1.2 | 2.9 | 0.5 | 1.6 | 0.5 | 2.0 | 0.6 | 0.8 | -0.1 | 16.5 |
| 2010 | -0.1 | -0.6 | 0.5 | 1.3 | 0.9 | -0.7 | 0.9 | 0.5 | 1.6 | -0.1 | 1.3 | -0.5 | 5.0 |
| 2011 | 9.9 | -3.2 | 0.3 | 0.5 | 0.5 | 2.4 | 5.8 | 4.3 | 3.6 | 0.4 | 0.1 | 0.4 | 25.0 |
| 2012 | 0.5 | 1.5 | 0.4 | 0.3 | 7.9 | -1.2 | -0.6 | 0.4 | 0.3 | 0.8 | 0.8 | 0.9 | 12.0 |
| 2013 | 2.3 | 3.4 | 1.4 | -3.5 | 6.5 | 18.3 | 0.3 | 3.9 | -1.4 | -0.9 | 2.4 | 1.0 | 33.7 |
| 2014 | 8.0 | -0.4 | 1.2 | 0.5 | 1.0 | 0.9 | 1.2 | -0.3 | 3.3 | -0.8 | 0.6 | 5.3 | 20.5 |
| 2015 | 4.2 | 0.1 | 1.9 | -0.1 | 0.6 | 0.3 | 2.0 | 8.8 | 6.2 | -0.1 | 0.4 | 3.2 | 27.5 |
| 2016 | 4.4 | -1.4 | 2.0 | 1.7 | 0.9 | -0.9 | 1.1 | 0.8 | -0.3 | 1.3 | -0.3 | 0.5 | 9.8 |
| 2017 | 0.8 | 1.1 | 0.6 | 0.0 | -5.3 | 0.4 | 2.0 | 0.5 | 0.6 | 0.6 | 0.0 | -1.7 | -0.4 |
| 2018 | 1.4 | -0.3 | -0.2 | -0.4 | 6.0 | 5.1 | -1.2 | 4.7 | 0.8 | 0.0 | 0.5 | 0.3 | 16.7 |
| 2019 | 1.4 | 0.1 | -1.7 | -0.2 | -0.1 | 0.6 | 0.4 | -0.2 | 0.4 | 0.1 | 0.1 | 0.5 | 1.4 |
| 2020 | -0.3 | 1.7 | 5.6 | -2.1 | 0.2 | -0.1 | -0.1 | -1.0 | 0.4 | 0.5 | -1.6 | 0.5 | 3.7 |
| 2021 | -1.0 | 2.3 | -1.2 | -0.5 | 0.9 | 0.5 | 1.5 | 4.4 | 4.6 | 10.7 | -0.9 | -1.0 | 20.3 |
| 2022 | 2.4 | 0.7 | 1.0 | 3.1 | 0.7 | 7.9 | -0.2 | 1.0 | 0.1 | -1.7 | 6.1 | 1.5 | 22.6 |
| 2023 | -0.9 | 2.7 | 1.5 | -0.1 | 0.6 | 1.2 | 1.7 | 1.7 | 1.7 | 3.9 | -2.6 | 1.0 | 12.4 |
| 2024 | 0.1 | -0.6 | -0.7 | 7.6 | 1.4 | 4.2 | -1.6 | -0.1 | 2.6 | 3.3 | 5.7 | 8.4 | 30.3 |
| 2025 | -4.0 | 1.0 | -0.8 | -0.3 | 0.8 | 2.4 | 2.2 | -0.0 | – | – | – | – | 1.3 |
portfolio_name: - alfa risk_target: - ls: 0.75 - beta_brasil: 0.25 allocation method: - vol running allocation...
clusters_weights_resampled
| ls | beta_brasil_timing | |
|---|---|---|
| 2006-12-28 | 1.067199 | 0.233592 |
| 2007-01-25 | 1.128210 | 0.239233 |
| 2007-02-22 | 1.135045 | 0.243439 |
| 2007-03-29 | 1.127801 | 0.247741 |
| 2007-04-26 | 1.137801 | 0.253548 |
| ... | ... | ... |
| 2025-03-27 | 1.032208 | 0.256183 |
| 2025-04-24 | 1.039285 | 0.260786 |
| 2025-05-29 | 1.044750 | 0.271260 |
| 2025-06-26 | 1.067121 | 0.278874 |
| 2025-07-31 | 1.071003 | 0.280228 |
224 rows × 2 columns
clusters_weights
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| date | |||
| 2006-12-28 | 1.067199 | 0.233592 | -0.300791 |
| 2006-12-29 | 1.067089 | 0.233671 | -0.300760 |
| 2007-01-01 | 1.067089 | 0.233671 | -0.300760 |
| 2007-01-02 | 1.068669 | 0.228361 | -0.297030 |
| 2007-01-03 | 1.069612 | 0.228170 | -0.297783 |
| ... | ... | ... | ... |
| 2025-07-28 | 1.062775 | 0.280285 | -0.343060 |
| 2025-07-29 | 1.062531 | 0.278620 | -0.341151 |
| 2025-07-30 | 1.065074 | 0.273680 | -0.338754 |
| 2025-07-31 | 1.071003 | 0.280228 | -0.351232 |
| 2025-08-01 | 1.071010 | 0.280255 | -0.351265 |
4852 rows × 3 columns
clusters_weights (pack_only)
| dif3yfut | smal11_excdi | usdbrlfut | ls new | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2006-12-28 | 0.379073 | 0.158242 | -0.057637 | 1.067199 | -0.067199 |
| 2006-12-29 | 0.379069 | 0.158240 | -0.080186 | 1.067089 | -0.067089 |
| 2007-01-01 | 0.379072 | 0.158240 | -0.080262 | 1.067089 | -0.067089 |
| 2007-01-02 | 0.376127 | 0.129677 | -0.079267 | 1.068669 | -0.068669 |
| 2007-01-03 | 0.376774 | 0.050221 | -0.049468 | 1.069612 | -0.069612 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.018115 | -0.106657 | -0.034810 | 1.062775 | -0.062775 |
| 2025-07-29 | 0.352412 | -0.106508 | -0.008635 | 1.062531 | -0.062531 |
| 2025-07-30 | 0.331974 | -0.104526 | -0.014369 | 1.065074 | -0.065074 |
| 2025-07-31 | -0.231150 | -0.100851 | 0.039573 | 1.071003 | -0.071003 |
| 2025-08-01 | -0.232239 | -0.100814 | 0.039636 | 1.071010 | -0.071010 |
4852 rows × 5 columns
securities_weights
| rail3 | abre11 | meal3 | cbee3 | tupy3 | soma3 | azul4 | sbsp3 | kepl3 | petz3 | ... | sedu3 | smls3 | bbse3 | plas3 | itsa4 | pard3 | ogxp3 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2006-12-28 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.020390 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.047378 | 0.000000 | 0.452214 |
| 2006-12-29 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.020388 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.047374 | 0.000000 | 0.452270 |
| 2007-01-01 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.020388 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.047374 | 0.000000 | 0.452270 |
| 2007-01-02 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.017476 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.039540 | 0.000000 | 0.623552 |
| 2007-01-03 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.017467 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.039685 | 0.000000 | 0.624650 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.041944 | 0.0 | 0.0 | 0.0 | -0.016479 | 0.0 | 0.0 | 0.002884 | -0.008223 | -0.009127 | ... | 0.0 | 0.0 | 0.006202 | 0.0 | 0.0 | 0.0 | 0.0 | 0.007869 | -0.010125 | 1.107371 |
| 2025-07-29 | -0.041707 | 0.0 | 0.0 | 0.0 | -0.016205 | 0.0 | 0.0 | 0.002867 | -0.008176 | -0.009099 | ... | 0.0 | 0.0 | 0.006197 | 0.0 | 0.0 | 0.0 | 0.0 | 0.007919 | -0.010128 | 1.101637 |
| 2025-07-30 | -0.040820 | 0.0 | 0.0 | 0.0 | -0.016457 | 0.0 | 0.0 | 0.002901 | -0.008129 | -0.009361 | ... | 0.0 | 0.0 | 0.006138 | 0.0 | 0.0 | 0.0 | 0.0 | 0.007984 | -0.010159 | 1.091445 |
| 2025-07-31 | -0.040931 | 0.0 | 0.0 | 0.0 | -0.016102 | 0.0 | 0.0 | 0.002904 | -0.008174 | -0.009309 | ... | 0.0 | 0.0 | 0.006193 | 0.0 | 0.0 | 0.0 | 0.0 | 0.008012 | -0.010233 | 1.088423 |
| 2025-08-01 | -0.045902 | 0.0 | 0.0 | 0.0 | -0.020550 | 0.0 | 0.0 | 0.001057 | -0.016680 | -0.015622 | ... | 0.0 | 0.0 | 0.004394 | 0.0 | 0.0 | 0.0 | 0.0 | -0.004701 | -0.005572 | 1.185369 |
4852 rows × 369 columns
cota_gross
date
2006-12-28 1.000000
2006-12-29 0.999955
2007-01-01 0.999955
2007-01-02 1.012364
2007-01-03 1.009658
...
2025-07-28 610.251928
2025-07-29 613.551573
2025-07-30 617.778351
2025-07-31 620.425070
2025-08-01 620.365795
Length: 4852, dtype: float64
cota_net
date
2006-12-28 1.000000
2006-12-29 0.999955
2007-01-01 0.999955
2007-01-02 1.012363
2007-01-03 1.009657
...
2025-07-28 609.467163
2025-07-29 612.762720
2025-07-30 616.983443
2025-07-31 619.626965
2025-08-01 619.567768
Length: 4852, dtype: float64
running sizing...
clusters_weights_resampled_sized
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| 2006-12-28 | NaN | NaN | NaN |
| 2007-01-25 | 0.112821 | 0.023923 | -0.036744 |
| 2007-01-26 | 1.128523 | 0.234420 | -0.362943 |
| 2007-02-22 | 1.135045 | 0.243439 | -0.378484 |
| 2007-03-29 | 1.127801 | 0.247741 | -0.375542 |
| ... | ... | ... | ... |
| 2025-03-27 | 1.032208 | 0.256183 | -0.288391 |
| 2025-04-24 | 1.039285 | 0.260786 | -0.300071 |
| 2025-05-29 | 1.044750 | 0.271260 | -0.316010 |
| 2025-06-26 | 1.067121 | 0.278874 | -0.345994 |
| 2025-07-31 | 1.071003 | 0.280228 | -0.351232 |
291 rows × 3 columns
clusters_weights_sized
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| date | |||
| 2006-12-28 | NaN | NaN | 1.000000 |
| 2006-12-29 | NaN | NaN | 1.000000 |
| 2007-01-01 | NaN | NaN | 1.000000 |
| 2007-01-02 | NaN | NaN | 1.000000 |
| 2007-01-03 | NaN | NaN | 1.000000 |
| ... | ... | ... | ... |
| 2025-07-28 | 1.067242 | 0.281463 | -0.348705 |
| 2025-07-29 | 1.067176 | 0.279838 | -0.347014 |
| 2025-07-30 | 1.069900 | 0.274920 | -0.344820 |
| 2025-07-31 | 1.071003 | 0.280228 | -0.351232 |
| 2025-08-01 | 1.071010 | 0.280255 | -0.351265 |
4852 rows × 3 columns
clusters_weights_sized (pack_only)
| dif3yfut | smal11_excdi | usdbrlfut | ls new | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2006-12-28 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2006-12-29 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-01 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-02 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-03 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.018191 | -0.107105 | -0.034956 | 1.067242 | -0.067242 |
| 2025-07-29 | 0.353953 | -0.106974 | -0.008673 | 1.067176 | -0.067176 |
| 2025-07-30 | 0.333478 | -0.105000 | -0.014434 | 1.069900 | -0.069900 |
| 2025-07-31 | -0.231150 | -0.100851 | 0.039573 | 1.071003 | -0.071003 |
| 2025-08-01 | -0.232239 | -0.100814 | 0.039636 | 1.071010 | -0.071010 |
4852 rows × 5 columns
securities_weights
| rail3 | abre11 | meal3 | cbee3 | tupy3 | soma3 | azul4 | sbsp3 | kepl3 | petz3 | ... | sedu3 | smls3 | bbse3 | plas3 | itsa4 | pard3 | ogxp3 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2006-12-28 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2006-12-29 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-01 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-02 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-03 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.042121 | 0.0 | 0.0 | 0.0 | -0.016548 | 0.0 | 0.0 | 0.002896 | -0.008257 | -0.009166 | ... | 0.0 | 0.0 | 0.006228 | 0.0 | 0.0 | 0.0 | 0.0 | 0.007902 | -0.010167 | 1.107822 |
| 2025-07-29 | -0.041889 | 0.0 | 0.0 | 0.0 | -0.016276 | 0.0 | 0.0 | 0.002879 | -0.008212 | -0.009139 | ... | 0.0 | 0.0 | 0.006224 | 0.0 | 0.0 | 0.0 | 0.0 | 0.007954 | -0.010172 | 1.102081 |
| 2025-07-30 | -0.041005 | 0.0 | 0.0 | 0.0 | -0.016532 | 0.0 | 0.0 | 0.002914 | -0.008166 | -0.009404 | ... | 0.0 | 0.0 | 0.006166 | 0.0 | 0.0 | 0.0 | 0.0 | 0.008020 | -0.010205 | 1.091859 |
| 2025-07-31 | -0.040931 | 0.0 | 0.0 | 0.0 | -0.016102 | 0.0 | 0.0 | 0.002904 | -0.008174 | -0.009309 | ... | 0.0 | 0.0 | 0.006193 | 0.0 | 0.0 | 0.0 | 0.0 | 0.008012 | -0.010233 | 1.088423 |
| 2025-08-01 | -0.045902 | 0.0 | 0.0 | 0.0 | -0.020550 | 0.0 | 0.0 | 0.001057 | -0.016680 | -0.015622 | ... | 0.0 | 0.0 | 0.004394 | 0.0 | 0.0 | 0.0 | 0.0 | -0.004701 | -0.005572 | 1.185369 |
4852 rows × 369 columns
cota_gross_sized
date
2006-12-28 1.000000
2006-12-29 1.000491
2007-01-01 1.000491
2007-01-02 1.000983
2007-01-03 1.001474
...
2025-07-28 504.444609
2025-07-29 507.182445
2025-07-30 510.690494
2025-07-31 512.887059
2025-08-01 512.838059
Length: 4852, dtype: float64
cota_net_sized
date
2006-12-28 1.000000
2006-12-29 1.000491
2007-01-01 1.000491
2007-01-02 1.000983
2007-01-03 1.001474
...
2025-07-28 503.104656
2025-07-29 505.835350
2025-07-30 509.333571
2025-07-31 511.524440
2025-08-01 511.475570
Length: 4852, dtype: float64
portfolio_name: - beta_global risk_target: - equity_av: 1 - ust10yfut_av: 1 - xaufut_av: 1 - btcfut_av: 1 allocation method: - vol running allocation...
clusters_weights_resampled
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | |
|---|---|---|---|---|
| 2014-12-25 | 0.506694 | 0.629430 | 0.639895 | 0.833328 |
| 2015-01-29 | 0.527125 | 0.627605 | 0.618857 | 0.743848 |
| 2015-02-26 | 0.525528 | 0.600916 | 0.596878 | 0.844805 |
| 2015-03-26 | 0.508952 | 0.584721 | 0.593216 | 0.830438 |
| 2015-04-30 | 0.500104 | 0.566053 | 0.563572 | 0.866679 |
| ... | ... | ... | ... | ... |
| 2025-03-27 | 0.431603 | 0.518505 | 0.439478 | 0.470872 |
| 2025-04-24 | 0.412581 | 0.514205 | 0.426734 | 0.466285 |
| 2025-05-29 | 0.431320 | 0.532561 | 0.451053 | 0.498545 |
| 2025-06-26 | 0.442275 | 0.558365 | 0.471206 | 0.512534 |
| 2025-07-31 | 0.453482 | 0.569485 | 0.477273 | 0.532357 |
128 rows × 4 columns
clusters_weights
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2014-12-25 | 0.506694 | 0.629430 | 0.639895 | 0.833328 | -1.609348 |
| 2014-12-26 | 0.501810 | 0.622729 | 0.639342 | 0.827191 | -1.591072 |
| 2014-12-29 | 0.503854 | 0.625184 | 0.635641 | 0.821225 | -1.585904 |
| 2014-12-30 | 0.499630 | 0.623559 | 0.637047 | 0.815446 | -1.575682 |
| 2014-12-31 | 0.500371 | 0.626420 | 0.634307 | 0.821131 | -1.582229 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.429980 | 0.546317 | 0.471602 | 0.522327 | -0.970225 |
| 2025-07-29 | 0.427854 | 0.545696 | 0.468648 | 0.517438 | -0.959636 |
| 2025-07-30 | 0.432866 | 0.545409 | 0.465307 | 0.520435 | -0.964017 |
| 2025-07-31 | 0.453482 | 0.569485 | 0.477273 | 0.532357 | -1.032597 |
| 2025-08-01 | 0.453483 | 0.569485 | 0.477272 | 0.532356 | -1.032595 |
2767 rows × 5 columns
clusters_weights (pack_only)
| spx_brl_hedged | xauusd_brl_hedged | ust10y | btcusd_brl_hedged | lo_timing new | cdi | |
|---|---|---|---|---|---|---|
| date | ||||||
| 2014-12-25 | 0.134283 | 0.293561 | 1.433161 | 0.086344 | 0.163188 | -1.110538 |
| 2014-12-26 | 0.134617 | 0.293588 | 1.418122 | 0.085707 | 0.170841 | -1.102876 |
| 2014-12-29 | 0.138568 | 0.308750 | 1.451515 | 0.085082 | 0.172205 | -1.156119 |
| 2014-12-30 | 0.137058 | 0.405383 | 1.410380 | 0.084992 | 0.171433 | -1.209246 |
| 2014-12-31 | 0.136524 | 0.397900 | 1.482374 | 0.085642 | 0.171910 | -1.274350 |
| ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.243931 | 0.356152 | 0.951428 | 0.125585 | 0.171541 | -0.848638 |
| 2025-07-29 | 0.241622 | 0.353822 | 0.950381 | 0.124501 | 0.170303 | -0.840629 |
| 2025-07-30 | 0.243475 | 0.351347 | 0.952173 | 0.125224 | 0.173121 | -0.845340 |
| 2025-07-31 | 0.256524 | 0.359727 | 0.993892 | 0.128101 | 0.213387 | -0.951631 |
| 2025-08-01 | 0.256521 | 0.360195 | 0.994936 | 0.128167 | 0.229254 | -0.969072 |
2767 rows × 6 columns
securities_weights
| rail3 | abre11 | meal3 | cbee3 | tupy3 | soma3 | azul4 | sbsp3 | kepl3 | petz3 | ... | sedu3 | smls3 | bbse3 | plas3 | itsa4 | pard3 | ogxp3 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2014-12-25 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.110538 |
| 2014-12-26 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.102876 |
| 2014-12-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.156119 |
| 2014-12-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.209246 |
| 2014-12-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.274350 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.848638 |
| 2025-07-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.840629 |
| 2025-07-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.845340 |
| 2025-07-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.951631 |
| 2025-08-01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.969072 |
2767 rows × 370 columns
cota_gross
date
2014-12-25 1.000000
2014-12-26 1.010787
2014-12-29 1.013382
2014-12-30 1.019257
2014-12-31 1.014341
...
2025-07-28 9.865529
2025-07-29 9.969117
2025-07-30 9.918535
2025-07-31 9.899338
2025-08-01 9.899351
Length: 2767, dtype: float64
cota_net
date
2014-12-25 1.000000
2014-12-26 1.010786
2014-12-29 1.013382
2014-12-30 1.019256
2014-12-31 1.014339
...
2025-07-28 9.842971
2025-07-29 9.946311
2025-07-30 9.895833
2025-07-31 9.876629
2025-08-01 9.876642
Length: 2767, dtype: float64
running sizing...
clusters_weights_resampled_sized
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| 2014-12-25 | NaN | NaN | NaN | NaN | NaN |
| 2015-01-22 | 0.047421 | 0.062130 | 0.063804 | 0.075734 | -0.149089 |
| 2015-01-23 | 0.470247 | 0.626793 | 0.632546 | 0.756620 | -1.486206 |
| 2015-01-29 | 0.527125 | 0.627605 | 0.618857 | 0.743848 | -1.517435 |
| 2015-02-26 | 0.525528 | 0.600916 | 0.596878 | 0.844805 | -1.568127 |
| ... | ... | ... | ... | ... | ... |
| 2025-03-27 | 0.431603 | 0.518505 | 0.439478 | 0.470872 | -0.860459 |
| 2025-04-24 | 0.412581 | 0.514205 | 0.426734 | 0.466285 | -0.819805 |
| 2025-05-29 | 0.431320 | 0.532561 | 0.451053 | 0.498545 | -0.913478 |
| 2025-06-26 | 0.442275 | 0.558365 | 0.471206 | 0.512534 | -0.984380 |
| 2025-07-31 | 0.453482 | 0.569485 | 0.477273 | 0.532357 | -1.032597 |
141 rows × 5 columns
clusters_weights_sized
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2014-12-25 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-26 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-29 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-30 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-31 | NaN | NaN | NaN | NaN | 1.000000 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.435130 | 0.552860 | 0.477251 | 0.528583 | -0.993824 |
| 2025-07-29 | 0.433157 | 0.552459 | 0.474456 | 0.523851 | -0.983924 |
| 2025-07-30 | 0.438494 | 0.552501 | 0.471358 | 0.527202 | -0.989556 |
| 2025-07-31 | 0.453482 | 0.569485 | 0.477273 | 0.532357 | -1.032597 |
| 2025-08-01 | 0.453483 | 0.569485 | 0.477272 | 0.532356 | -1.032595 |
2767 rows × 5 columns
clusters_weights_sized (pack_only)
| spx_brl_hedged | xauusd_brl_hedged | ust10y | btcusd_brl_hedged | lo_timing new | cdi | |
|---|---|---|---|---|---|---|
| date | ||||||
| 2014-12-25 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-26 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-29 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-30 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-31 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.246853 | 0.360418 | 0.962824 | 0.127089 | 0.173595 | -0.870780 |
| 2025-07-29 | 0.244617 | 0.358208 | 0.962160 | 0.126044 | 0.172414 | -0.863442 |
| 2025-07-30 | 0.246641 | 0.355916 | 0.964554 | 0.126853 | 0.175372 | -0.869336 |
| 2025-07-31 | 0.256524 | 0.359727 | 0.993892 | 0.128101 | 0.213387 | -0.951631 |
| 2025-08-01 | 0.256521 | 0.360195 | 0.994936 | 0.128167 | 0.229254 | -0.969072 |
2767 rows × 6 columns
securities_weights
| rail3 | abre11 | meal3 | cbee3 | tupy3 | soma3 | azul4 | sbsp3 | kepl3 | petz3 | ... | sedu3 | smls3 | bbse3 | plas3 | itsa4 | pard3 | ogxp3 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2014-12-25 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-26 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.870780 |
| 2025-07-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.863442 |
| 2025-07-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.869336 |
| 2025-07-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.951631 |
| 2025-08-01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.969072 |
2767 rows × 370 columns
cota_gross_sized
date
2014-12-25 1.000000
2014-12-26 1.000435
2014-12-29 1.000869
2014-12-30 1.001305
2014-12-31 1.001740
...
2025-07-28 9.131487
2025-07-29 9.228456
2025-07-30 9.180988
2025-07-31 9.162922
2025-08-01 9.162934
Length: 2767, dtype: float64
cota_net_sized
date
2014-12-25 1.000000
2014-12-26 1.000435
2014-12-29 1.000869
2014-12-30 1.001305
2014-12-31 1.001740
...
2025-07-28 9.102280
2025-07-29 9.198929
2025-07-30 9.151603
2025-07-31 9.133571
2025-08-01 9.133583
Length: 2767, dtype: float64
beta_global
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 6.0 | -0.7 | 1.6 | 0.4 | 1.3 | -0.0 | 0.9 | -3.0 | 1.8 | 5.5 | -0.5 | 0.9 | 14.2 |
| 2016 | 2.8 | 8.9 | 2.5 | 3.9 | -0.4 | 11.7 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.2 | 32.0 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.6 | 45.1 |
| 2020 | 8.2 | 0.3 | -1.5 | 4.1 | 2.6 | 3.1 | 8.2 | 0.6 | -3.6 | 0.4 | 5.1 | 7.9 | 35.4 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.1 | 9.4 |
| 2022 | -4.5 | 1.2 | 1.9 | -4.9 | -1.6 | -8.0 | 5.3 | -2.9 | -4.5 | 1.7 | 3.0 | 0.2 | -13.1 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.6 | 6.2 | 27.3 |
| 2024 | -0.4 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.3 |
| 2025 | 5.5 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 0.0 | – | – | – | – | 18.9 |
beta_global_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 1.3 | -0.7 | 1.6 | 0.4 | 1.3 | -0.0 | 0.9 | -3.0 | 1.8 | 5.6 | -0.5 | 0.9 | 9.6 |
| 2016 | 2.8 | 9.0 | 2.5 | 3.9 | -0.5 | 10.2 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.3 | 30.6 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.7 | 45.2 |
| 2020 | 8.3 | 0.3 | -1.3 | 4.1 | 2.6 | 3.1 | 8.2 | 0.4 | -3.6 | 0.4 | 5.1 | 7.9 | 35.5 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.2 | 9.5 |
| 2022 | -4.6 | 1.2 | 1.9 | -4.9 | -1.6 | -8.6 | 4.9 | -2.9 | -4.6 | 1.8 | 3.0 | 0.2 | -14.2 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.7 | 6.2 | 27.4 |
| 2024 | -0.5 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.2 |
| 2025 | 5.6 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 0.0 | – | – | – | – | 19.0 |
alfa
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 10.1 | 5.8 | 3.2 | -3.0 | 0.7 | 3.6 | 5.3 | 6.4 | 2.4 | -4.3 | 0.1 | 3.6 | 33.9 |
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.6 | 7.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 37.8 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.3 | 5.7 | 7.4 | 6.4 | 36.7 |
| 2020 | 5.9 | 6.4 | 6.4 | -1.2 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 19.9 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 7.7 | -1.2 | 4.7 | 38.1 |
| 2022 | 0.2 | 2.8 | 3.3 | 4.1 | 4.5 | 1.5 | 0.1 | 0.3 | -2.2 | 1.7 | 5.6 | 1.9 | 23.8 |
| 2023 | 1.6 | 3.0 | -2.5 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.3 |
| 2024 | 2.9 | -2.5 | 0.1 | 3.9 | -0.7 | 6.6 | 0.3 | 10.5 | 2.4 | 2.6 | 6.3 | 3.0 | 35.4 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.2 | -0.0 | – | – | – | – | 8.7 |
alfa_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 10.1 | 5.9 | 3.2 | -3.0 | 0.7 | 3.6 | 5.3 | 6.4 | 2.4 | -4.4 | 0.1 | 3.6 | 33.9 |
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.7 | 3.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 33.9 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.6 | 5.7 | 7.4 | 6.4 | 36.4 |
| 2020 | 5.9 | 6.4 | 8.5 | -0.7 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 22.5 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 5.7 | -0.8 | 4.7 | 36.5 |
| 2022 | 0.2 | 2.7 | 3.3 | 4.1 | 4.5 | 1.5 | -0.3 | 0.3 | -2.3 | 1.7 | 5.6 | 1.9 | 23.2 |
| 2023 | 1.6 | 3.1 | -2.1 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.8 |
| 2024 | 2.9 | -2.6 | 0.1 | 2.0 | -1.6 | 6.6 | 0.3 | 6.3 | 2.4 | 2.6 | 6.4 | 2.9 | 28.3 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.2 | -0.0 | – | – | – | – | 8.7 |
Total: 3.883794069290161
beta
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.9 | 10.8 | 1.8 | 3.8 | -1.8 | 10.7 | 4.9 | -3.2 | -2.1 | 2.6 | 0.1 | 9.5 | 39.0 |
| 2017 | 2.5 | 9.7 | -4.7 | 6.5 | 11.6 | 0.9 | 3.7 | 9.5 | -0.5 | 3.9 | 2.9 | 8.4 | 54.4 |
| 2018 | 5.6 | -5.2 | -3.7 | -0.4 | -2.0 | -0.2 | 1.1 | 0.7 | -2.2 | -1.4 | 2.0 | 8.7 | 3.0 |
| 2019 | 7.2 | -0.9 | 1.3 | 3.7 | 9.7 | 15.4 | -0.8 | 8.7 | -5.5 | -0.7 | 0.4 | 6.7 | 45.2 |
| 2020 | 8.5 | 1.4 | -1.0 | 2.7 | 2.5 | 2.7 | 11.2 | -0.1 | -6.2 | 0.5 | 4.8 | 8.2 | 35.2 |
| 2021 | -1.1 | 4.9 | 4.6 | 0.6 | 1.2 | -0.5 | 2.4 | -0.4 | -3.1 | 1.7 | -2.7 | 2.0 | 9.6 |
| 2022 | -0.9 | 1.4 | 2.1 | -1.8 | 1.6 | -2.8 | 2.4 | 0.9 | 0.8 | 1.2 | -0.4 | 0.6 | 5.1 |
| 2023 | 6.0 | -3.3 | 1.5 | 1.7 | 0.3 | 4.0 | 0.9 | -1.9 | 0.3 | 1.7 | 5.7 | 7.6 | 24.5 |
| 2024 | -2.9 | 6.2 | 7.4 | -2.9 | 0.6 | -0.6 | 3.4 | 0.7 | 3.9 | 1.2 | 2.1 | -2.7 | 16.4 |
| 2025 | 5.0 | -0.7 | 5.0 | 2.9 | 2.8 | 3.6 | -2.3 | -0.0 | – | – | – | – | 16.3 |
beta_global
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 2.8 | 8.9 | 2.5 | 3.9 | -0.4 | 11.7 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.2 | 32.0 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.6 | 45.1 |
| 2020 | 8.2 | 0.3 | -1.5 | 4.1 | 2.6 | 3.1 | 8.2 | 0.6 | -3.6 | 0.4 | 5.1 | 7.9 | 35.4 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.1 | 9.4 |
| 2022 | -4.5 | 1.2 | 1.9 | -4.9 | -1.6 | -8.0 | 5.3 | -2.9 | -4.5 | 1.7 | 3.0 | 0.2 | -13.1 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.6 | 6.2 | 27.3 |
| 2024 | -0.4 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.3 |
| 2025 | 5.5 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 0.0 | – | – | – | – | 18.9 |
beta_global_timing_long_bias
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.8 | 8.0 | 1.7 | 3.0 | -0.9 | 8.3 | 3.8 | -1.9 | -0.8 | 2.0 | -0.8 | 6.7 | 30.9 |
| 2017 | 2.5 | 7.3 | -2.8 | 4.9 | 8.8 | 0.9 | 3.1 | 7.0 | -0.2 | 2.9 | 2.5 | 6.1 | 43.0 |
| 2018 | 3.5 | -3.6 | -2.4 | -0.1 | -1.5 | -0.5 | 1.1 | 0.7 | -1.5 | -0.6 | 1.3 | 6.2 | 2.6 |
| 2019 | 5.3 | -0.3 | 1.3 | 3.0 | 7.3 | 11.2 | -0.3 | 6.4 | -3.7 | 0.1 | 0.3 | 4.9 | 35.5 |
| 2020 | 6.4 | 1.0 | -0.7 | 2.3 | 1.9 | 2.0 | 7.9 | 0.0 | -4.3 | 0.5 | 3.8 | 6.3 | 27.1 |
| 2021 | -0.6 | 2.5 | 2.9 | 1.1 | 0.9 | -0.3 | 2.3 | -0.0 | -2.2 | 1.6 | -1.4 | 1.7 | 8.5 |
| 2022 | -1.1 | 1.3 | 1.9 | -1.6 | 1.0 | -2.7 | 2.5 | 0.5 | 0.0 | 1.4 | 0.5 | 0.7 | 4.4 |
| 2023 | 5.0 | -2.4 | 2.2 | 1.5 | 0.6 | 3.0 | 1.1 | -1.1 | -0.0 | 1.6 | 4.8 | 5.7 | 22.0 |
| 2024 | -1.6 | 4.6 | 5.7 | -2.2 | 1.0 | -0.0 | 3.0 | 1.1 | 3.2 | 0.9 | 1.9 | -1.8 | 15.8 |
| 2025 | 4.0 | -0.2 | 3.6 | 2.4 | 2.4 | 3.0 | -1.1 | -0.0 | – | – | – | – | 14.1 |
portfolio_name: - wealth risk_target: - beta_global: 1 - alfa: 1 allocation method: - vol running allocation...
clusters_weights_resampled
| beta | alfa | |
|---|---|---|
| 2018-12-27 | 0.702098 | 0.572327 |
| 2019-01-31 | 0.690059 | 0.584839 |
| 2019-02-28 | 0.695379 | 0.584341 |
| 2019-03-28 | 0.672082 | 0.601721 |
| 2019-04-25 | 0.656936 | 0.615795 |
| ... | ... | ... |
| 2025-03-27 | 0.703975 | 0.585678 |
| 2025-04-24 | 0.688190 | 0.599620 |
| 2025-05-29 | 0.712346 | 0.595179 |
| 2025-06-26 | 0.720786 | 0.604958 |
| 2025-07-31 | 0.732742 | 0.622484 |
80 rows × 2 columns
clusters_weights
| beta | alfa | cdi | |
|---|---|---|---|
| date | |||
| 2018-12-27 | 0.702098 | 0.572327 | -0.274425 |
| 2018-12-28 | 0.703238 | 0.568249 | -0.271486 |
| 2018-12-31 | 0.703440 | 0.567860 | -0.271300 |
| 2019-01-01 | 0.703415 | 0.567907 | -0.271322 |
| 2019-01-02 | 0.703899 | 0.563587 | -0.267487 |
| ... | ... | ... | ... |
| 2025-07-28 | 0.715612 | 0.613039 | -0.328650 |
| 2025-07-29 | 0.715228 | 0.610074 | -0.325302 |
| 2025-07-30 | 0.711960 | 0.612291 | -0.324250 |
| 2025-07-31 | 0.732742 | 0.622484 | -0.355225 |
| 2025-08-01 | 0.732782 | 0.622468 | -0.355250 |
1722 rows × 3 columns
clusters_weights (pack_only)
| spx_brl_hedged | xauusd_brl_hedged | ust10y | dif3yfut | btcusd_brl_hedged | lo_timing new | smal11_excdi | usdbrlfut | ls new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-12-27 | -0.020841 | 0.557302 | 1.940878 | 0.282954 | -0.004203 | 0.208377 | 0.013753 | 0.017910 | 0.575739 | -2.257252 |
| 2018-12-28 | -0.019396 | 0.552192 | 1.910954 | 0.278376 | -0.006989 | 0.207337 | 0.063028 | 0.006921 | 0.571372 | -2.215471 |
| 2018-12-31 | -0.017603 | 0.554376 | 1.918488 | 0.278216 | -0.010191 | 0.209193 | 0.062898 | 0.000809 | 0.570940 | -2.225203 |
| 2019-01-01 | -0.015779 | 0.554313 | 1.920503 | 0.278238 | -0.012545 | 0.208958 | 0.063232 | -0.000369 | 0.570987 | -2.226438 |
| 2019-01-02 | -0.015958 | 0.544424 | 1.923224 | 0.278418 | -0.007176 | 0.209798 | 0.063261 | 0.000000 | 0.563888 | -2.218201 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.231020 | 0.239001 | 0.450841 | 0.011105 | 0.124835 | 0.171859 | -0.065385 | -0.021340 | 0.651522 | -0.869078 |
| 2025-07-29 | 0.226819 | 0.183700 | 0.450104 | 0.214997 | 0.123691 | 0.170528 | -0.064978 | -0.005268 | 0.648222 | -0.803064 |
| 2025-07-30 | 0.229410 | 0.089526 | 0.637658 | 0.203265 | 0.124817 | 0.172557 | -0.064001 | -0.008798 | 0.652135 | -0.906103 |
| 2025-07-31 | 0.252873 | 0.073527 | 0.764679 | -0.143887 | 0.126278 | 0.218901 | -0.062778 | 0.024633 | 0.666682 | -1.102939 |
| 2025-08-01 | 0.254939 | 0.063208 | 1.020700 | -0.144562 | 0.121213 | 0.235190 | -0.062754 | 0.024672 | 0.666670 | -1.361921 |
1722 rows × 10 columns
securities_weights
| rail3 | abre11 | cbee3 | tupy3 | sbsp3 | alsc3 | elpl5 | bkbr3 | crgt5 | coce5 | ... | pine4 | wizc3 | jall3 | pcar3 | dif3yfut | sedu3 | itsa4 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2018-12-27 | -0.000501 | 0.0 | 0.0 | 0.021708 | 0.002990 | -0.011378 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | -0.014914 | 0.0 | 0.000000 | 0.282954 | 0.0 | 0.0 | 0.027048 | 0.012647 | -1.670884 |
| 2018-12-28 | -0.003610 | 0.0 | 0.0 | 0.010130 | 0.005034 | -0.012028 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | -0.013196 | 0.0 | 0.000000 | 0.278376 | 0.0 | 0.0 | 0.039688 | 0.016745 | -1.711949 |
| 2018-12-31 | -0.003607 | 0.0 | 0.0 | 0.010122 | 0.005030 | -0.012019 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | -0.013186 | 0.0 | 0.000000 | 0.278216 | 0.0 | 0.0 | 0.039789 | 0.016733 | -1.722062 |
| 2019-01-01 | -0.003608 | 0.0 | 0.0 | 0.010123 | 0.005031 | -0.012020 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | -0.013187 | 0.0 | 0.000000 | 0.278238 | 0.0 | 0.0 | 0.039776 | 0.016734 | -1.723256 |
| 2019-01-02 | -0.003546 | 0.0 | 0.0 | 0.010157 | 0.005411 | -0.012177 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | -0.013350 | 0.0 | 0.000000 | 0.278418 | 0.0 | 0.0 | 0.039497 | 0.017441 | -1.721967 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.025713 | 0.0 | 0.0 | -0.010102 | 0.001768 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.000000 | 0.0 | -0.005920 | 0.011105 | 0.0 | 0.0 | 0.004824 | -0.006207 | -0.151733 |
| 2025-07-29 | -0.025444 | 0.0 | 0.0 | -0.009887 | 0.001749 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.000000 | 0.0 | -0.005741 | 0.214997 | 0.0 | 0.0 | 0.004831 | -0.006179 | -0.092836 |
| 2025-07-30 | -0.024994 | 0.0 | 0.0 | -0.010077 | 0.001776 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.000000 | 0.0 | -0.006053 | 0.203265 | 0.0 | 0.0 | 0.004888 | -0.006221 | -0.197977 |
| 2025-07-31 | -0.025479 | 0.0 | 0.0 | -0.010023 | 0.001808 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.000000 | 0.0 | -0.005975 | -0.143887 | 0.0 | 0.0 | 0.004987 | -0.006370 | -0.381215 |
| 2025-08-01 | -0.028573 | 0.0 | 0.0 | -0.012792 | 0.000658 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.000000 | 0.0 | -0.005067 | -0.144562 | 0.0 | 0.0 | -0.002926 | -0.003468 | -0.579864 |
1722 rows × 373 columns
cota_gross
date
2018-12-27 1.000000
2018-12-28 1.010756
2018-12-31 1.011383
2019-01-01 1.011300
2019-01-02 1.025733
...
2025-07-28 7.830894
2025-07-29 7.910081
2025-07-30 7.934314
2025-07-31 7.928625
2025-08-01 7.928062
Length: 1722, dtype: float64
cota_net
date
2018-12-27 1.000000
2018-12-28 1.010757
2018-12-31 1.011384
2019-01-01 1.011300
2019-01-02 1.025733
...
2025-07-28 7.827726
2025-07-29 7.906881
2025-07-30 7.931107
2025-07-31 7.925422
2025-08-01 7.924859
Length: 1722, dtype: float64
running sizing...
clusters_weights_resampled_sized
| beta | alfa | cdi | |
|---|---|---|---|
| 2018-12-27 | NaN | NaN | NaN |
| 2019-01-24 | 0.069618 | 0.056508 | -0.026127 |
| 2019-01-25 | 0.698681 | 0.560427 | -0.259108 |
| 2019-01-31 | 0.690059 | 0.584839 | -0.274898 |
| 2019-02-28 | 0.695379 | 0.584341 | -0.279721 |
| ... | ... | ... | ... |
| 2025-03-27 | 0.703975 | 0.585678 | -0.289653 |
| 2025-04-24 | 0.688190 | 0.599620 | -0.287810 |
| 2025-05-29 | 0.712346 | 0.595179 | -0.307525 |
| 2025-06-26 | 0.720786 | 0.604958 | -0.325743 |
| 2025-07-31 | 0.732742 | 0.622484 | -0.355225 |
107 rows × 3 columns
clusters_weights_sized
| beta | alfa | cdi | |
|---|---|---|---|
| date | |||
| 2018-12-27 | NaN | NaN | 1.000000 |
| 2018-12-28 | NaN | NaN | 1.000000 |
| 2018-12-31 | NaN | NaN | 1.000000 |
| 2019-01-01 | NaN | NaN | 1.000000 |
| 2019-01-02 | NaN | NaN | 1.000000 |
| ... | ... | ... | ... |
| 2025-07-28 | 0.718492 | 0.615506 | -0.333999 |
| 2025-07-29 | 0.718209 | 0.612616 | -0.330825 |
| 2025-07-30 | 0.715047 | 0.614946 | -0.329993 |
| 2025-07-31 | 0.732742 | 0.622484 | -0.355225 |
| 2025-08-01 | 0.732782 | 0.622468 | -0.355250 |
1722 rows × 3 columns
clusters_weights_sized (pack_only)
| spx_brl_hedged | xauusd_brl_hedged | ust10y | dif3yfut | btcusd_brl_hedged | lo_timing new | smal11_excdi | usdbrlfut | ls new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-12-27 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-28 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-31 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-01 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-02 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.231949 | 0.239963 | 0.452656 | 0.011150 | 0.125338 | 0.172551 | -0.065648 | -0.021426 | 0.654145 | -0.876602 |
| 2025-07-29 | 0.227765 | 0.184466 | 0.451979 | 0.215893 | 0.124206 | 0.171238 | -0.065249 | -0.005290 | 0.650924 | -0.810578 |
| 2025-07-30 | 0.230405 | 0.089914 | 0.640423 | 0.204146 | 0.125358 | 0.173306 | -0.064278 | -0.008836 | 0.654963 | -0.914368 |
| 2025-07-31 | 0.252873 | 0.073527 | 0.764679 | -0.143887 | 0.126278 | 0.218901 | -0.062778 | 0.024633 | 0.666682 | -1.102939 |
| 2025-08-01 | 0.254939 | 0.063208 | 1.020700 | -0.144562 | 0.121213 | 0.235190 | -0.062754 | 0.024672 | 0.666670 | -1.361921 |
1722 rows × 10 columns
securities_weights
| rail3 | abre11 | cbee3 | tupy3 | sbsp3 | alsc3 | elpl5 | bkbr3 | crgt5 | coce5 | ... | pine4 | wizc3 | jall3 | pcar3 | dif3yfut | sedu3 | itsa4 | cple6 | bpac11 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2018-12-27 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-28 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-31 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-01 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-02 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.025817 | 0.0 | 0.0 | -0.010143 | 0.001775 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | -0.005943 | 0.011150 | 0.0 | 0.0 | 0.004844 | -0.006232 | -0.156369 |
| 2025-07-29 | -0.025550 | 0.0 | 0.0 | -0.009928 | 0.001756 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | -0.005765 | 0.215893 | 0.0 | 0.0 | 0.004851 | -0.006204 | -0.097390 |
| 2025-07-30 | -0.025102 | 0.0 | 0.0 | -0.010120 | 0.001784 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | -0.006079 | 0.204146 | 0.0 | 0.0 | 0.004909 | -0.006248 | -0.203172 |
| 2025-07-31 | -0.025479 | 0.0 | 0.0 | -0.010023 | 0.001808 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | -0.005975 | -0.143887 | 0.0 | 0.0 | 0.004987 | -0.006370 | -0.381215 |
| 2025-08-01 | -0.028573 | 0.0 | 0.0 | -0.012792 | 0.000658 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | -0.005067 | -0.144562 | 0.0 | 0.0 | -0.002926 | -0.003468 | -0.579864 |
1722 rows × 373 columns
cota_gross_sized
date
2018-12-27 1.000000
2018-12-28 1.000246
2018-12-31 1.000492
2019-01-01 1.000492
2019-01-02 1.000739
...
2025-07-28 7.266070
2025-07-29 7.339825
2025-07-30 7.362388
2025-07-31 7.357069
2025-08-01 7.356546
Length: 1722, dtype: float64
cota_net_sized
date
2018-12-27 1.000000
2018-12-28 1.000246
2018-12-31 1.000492
2019-01-01 1.000492
2019-01-02 1.000739
...
2025-07-28 7.248179
2025-07-29 7.321752
2025-07-30 7.344262
2025-07-31 7.338959
2025-08-01 7.338437
Length: 1722, dtype: float64
alfa
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.6 | 7.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 37.8 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.3 | 5.7 | 7.4 | 6.4 | 36.7 |
| 2020 | 5.9 | 6.4 | 6.4 | -1.2 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 19.9 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 7.7 | -1.2 | 4.7 | 38.1 |
| 2022 | 0.2 | 2.8 | 3.3 | 4.1 | 4.5 | 1.5 | 0.1 | 0.3 | -2.2 | 1.7 | 5.6 | 1.9 | 23.8 |
| 2023 | 1.6 | 3.0 | -2.5 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.3 |
| 2024 | 2.9 | -2.5 | 0.1 | 3.9 | -0.7 | 6.6 | 0.3 | 10.5 | 2.4 | 2.6 | 6.3 | 3.0 | 35.4 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.2 | -0.0 | – | – | – | – | 8.7 |
beta
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.9 | 10.8 | 1.8 | 3.8 | -1.8 | 10.7 | 4.9 | -3.2 | -2.1 | 2.6 | 0.1 | 9.5 | 39.0 |
| 2017 | 2.5 | 9.7 | -4.7 | 6.5 | 11.6 | 0.9 | 3.7 | 9.5 | -0.5 | 3.9 | 2.9 | 8.4 | 54.4 |
| 2018 | 5.6 | -5.2 | -3.7 | -0.4 | -2.0 | -0.2 | 1.1 | 0.7 | -2.2 | -1.4 | 2.0 | 8.7 | 3.0 |
| 2019 | 7.2 | -0.9 | 1.3 | 3.7 | 9.7 | 15.4 | -0.8 | 8.7 | -5.5 | -0.7 | 0.4 | 6.7 | 45.2 |
| 2020 | 8.5 | 1.4 | -1.0 | 2.7 | 2.5 | 2.7 | 11.2 | -0.1 | -6.2 | 0.5 | 4.8 | 8.2 | 35.2 |
| 2021 | -1.1 | 4.9 | 4.6 | 0.6 | 1.2 | -0.5 | 2.4 | -0.4 | -3.1 | 1.7 | -2.7 | 2.0 | 9.6 |
| 2022 | -0.9 | 1.4 | 2.1 | -1.8 | 1.6 | -2.8 | 2.4 | 0.9 | 0.8 | 1.2 | -0.4 | 0.6 | 5.1 |
| 2023 | 6.0 | -3.3 | 1.5 | 1.7 | 0.3 | 4.0 | 0.9 | -1.9 | 0.3 | 1.7 | 5.7 | 7.6 | 24.5 |
| 2024 | -2.9 | 6.2 | 7.4 | -2.9 | 0.6 | -0.6 | 3.4 | 0.7 | 3.9 | 1.2 | 2.1 | -2.7 | 16.4 |
| 2025 | 5.0 | -0.7 | 5.0 | 2.9 | 2.8 | 3.6 | -2.3 | -0.0 | – | – | – | – | 16.3 |
wealth
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 4.0 | 6.3 | -0.2 | 4.1 | -1.9 | 5.7 | 5.2 | -0.7 | -3.1 | 4.8 | 0.1 | 8.1 | 32.4 |
| 2017 | 4.7 | 12.3 | -4.7 | 5.5 | 5.8 | 0.1 | 3.8 | 5.2 | 1.3 | 4.5 | 3.7 | 6.9 | 49.1 |
| 2018 | 2.9 | 2.7 | -0.3 | 0.0 | 4.1 | 4.7 | 0.7 | 4.7 | -1.6 | -3.6 | 2.1 | 8.1 | 24.5 |
| 2019 | 6.7 | 1.0 | 0.8 | 3.3 | 11.8 | 9.7 | 1.0 | 6.2 | -5.8 | 3.5 | 5.3 | 8.3 | 51.8 |
| 2020 | 9.0 | 4.7 | 2.8 | 1.0 | 1.8 | 1.8 | 8.7 | -2.1 | -5.2 | 0.3 | 3.5 | 8.2 | 34.5 |
| 2021 | -1.3 | 5.9 | 4.2 | 5.2 | 0.9 | -1.9 | 3.7 | 5.3 | 2.5 | 6.3 | -2.9 | 4.1 | 32.0 |
| 2022 | -0.8 | 2.5 | 3.2 | 1.0 | 3.6 | -1.3 | 1.4 | 0.4 | -1.1 | 1.5 | 3.0 | 1.9 | 15.3 |
| 2023 | 4.3 | -0.8 | -1.0 | 0.2 | 0.0 | 8.5 | -1.1 | 2.0 | 4.1 | 4.3 | 6.4 | 9.0 | 35.9 |
| 2024 | -1.1 | 2.9 | 5.5 | -0.2 | -0.1 | 3.9 | 2.4 | 7.0 | 3.9 | 2.2 | 5.4 | -0.7 | 31.1 |
| 2025 | 3.3 | -0.2 | 3.0 | 2.1 | 3.9 | 5.3 | -2.1 | -0.0 | – | – | – | – | 15.3 |
Out[30]:
| dif3yfut | xauusd_brl_hedged | tc_cosmos_fic | ust10y | spx_brl_hedged | btcusd_brl_hedged | lo_timing new | smal11_excdi | usdbrlfut | ls new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025-07 | -0.37 | -0.31 | -0.06 | -0.87 | 0.36 | 1.17 | -1.18 | 0.22 | -0.15 | 0.5 | -1.4 |
Total: 171.38639330863953
Exporting Prepare¶
Previdência¶
Total: 9.474733829498291
ntnb_lo
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 2.7 | 0.5 | 0.9 | 1.2 | 2.7 | 3.1 | 1.0 | 0.0 | 2.6 | 2.8 | -1.5 | 1.4 | 17.4 |
| 2020 | 1.1 | 0.9 | -3.8 | 1.1 | 3.5 | 1.6 | 2.7 | -1.1 | -1.1 | -0.4 | 1.8 | 4.3 | 10.6 |
| 2021 | -0.8 | -2.2 | -0.6 | 1.5 | 0.5 | -0.0 | -0.6 | -0.4 | 0.2 | -1.9 | 3.4 | 1.2 | 0.3 |
| 2022 | -0.5 | 0.3 | 3.4 | 0.6 | 1.1 | 0.2 | -0.8 | 0.9 | 0.6 | 1.5 | -0.8 | -0.0 | 6.5 |
| 2023 | 0.8 | 1.6 | 2.6 | 1.7 | 2.7 | 1.6 | 0.7 | 0.0 | -1.1 | -1.1 | 2.9 | 2.2 | 14.6 |
| 2024 | -0.2 | 0.7 | 0.0 | -1.8 | 1.3 | -0.7 | 1.6 | 0.6 | -0.5 | -0.3 | -0.5 | -2.3 | -2.1 |
| 2025 | 1.8 | 0.4 | 1.9 | 3.1 | 0.8 | 0.8 | -0.8 | 0.0 | – | – | – | – | 8.0 |
dif8yfut_av_timing
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 2.8 | -0.4 | -1.6 | -1.5 | 1.8 | 8.2 | 2.0 | -1.5 | 1.8 | 5.0 | 0.6 | -0.4 | 16.8 |
| 2020 | 0.5 | 0.1 | 0.1 | -4.9 | 1.3 | 0.2 | 3.5 | -4.1 | -0.5 | -0.8 | -3.1 | 5.8 | -1.9 |
| 2021 | -1.0 | 4.7 | 0.9 | -0.7 | 0.9 | -0.7 | 1.6 | 6.4 | 2.6 | 6.3 | -1.7 | 2.5 | 21.8 |
| 2022 | -0.3 | -1.5 | 6.2 | 2.6 | -1.3 | 3.2 | 3.2 | 3.6 | -1.9 | -0.5 | 6.6 | 1.9 | 21.8 |
| 2023 | -2.1 | 0.3 | 2.7 | 4.1 | 5.4 | 6.3 | -1.5 | -2.3 | 2.5 | 0.6 | 2.6 | 3.7 | 22.3 |
| 2024 | -1.2 | -0.6 | 0.4 | 5.2 | -0.5 | 1.9 | -0.8 | 1.0 | 1.7 | 1.5 | 3.9 | 5.3 | 17.8 |
| 2025 | -1.7 | 1.4 | -0.0 | 3.4 | 0.7 | 3.4 | -1.3 | 0.0 | – | – | – | – | 5.9 |
prev
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 3.2 | -0.2 | -0.7 | -0.5 | 2.5 | 7.2 | 1.8 | -1.1 | 2.4 | 4.8 | -0.4 | 0.4 | 19.4 |
| 2020 | 0.8 | 0.4 | -1.6 | -3.0 | 2.6 | 0.9 | 3.8 | -3.5 | -0.9 | -0.8 | -1.3 | 6.2 | 3.6 |
| 2021 | -1.1 | 2.1 | 0.4 | 0.2 | 0.8 | -0.5 | 0.8 | 4.2 | 1.8 | 3.3 | 0.4 | 2.2 | 14.6 |
| 2022 | -0.6 | -1.1 | 5.9 | 2.0 | -0.5 | 2.1 | 1.7 | 2.8 | -1.3 | 0.2 | 4.0 | 1.1 | 16.3 |
| 2023 | -1.3 | 0.8 | 2.9 | 3.5 | 4.9 | 5.0 | -0.9 | -1.8 | 1.0 | -0.3 | 3.1 | 3.5 | 20.4 |
| 2024 | -1.2 | -0.3 | 0.1 | 2.5 | 0.1 | 0.8 | 0.1 | 0.9 | 0.8 | 0.8 | 2.3 | 2.4 | 9.3 |
| 2025 | -0.5 | 1.0 | 0.7 | 3.7 | 0.6 | 2.6 | -1.6 | 0.0 | – | – | – | – | 6.5 |
Exporting¶
Out[37]:
| 2025-08-01 | essencial | prev |
|---|---|---|
| bitfut | 0.1212 | 0.000000 |
| bova11 | -0.0000 | 0.000000 |
| cdi | 0.7300 | 0.500000 |
| cosmos | 0.1500 | 0.000000 |
| dif3yfut | -0.1446 | 0.000000 |
| dif8yfut | 0.0000 | -0.495322 |
| gold11 | 0.0632 | 0.000000 |
| ibovfut | 0.0000 | 0.000000 |
| lo_timing new | 0.2352 | 0.000000 |
| ls new | 0.6667 | 0.000000 |
| ntnb5y_idka | 0.0000 | 0.500000 |
| smal11 | -0.0628 | 0.000000 |
| spxfut | 0.2549 | 0.000000 |
| usdbrlfut | 0.0247 | 0.000000 |
| ust10yfut | 1.0207 | 0.000000 |
Out[38]:
| 2025-07-31 | essencial | prev |
|---|---|---|
| bitfut | 0.1263 | 0.000000 |
| bova11 | -0.0000 | 0.000000 |
| cdi | 0.6800 | 0.500000 |
| cosmos | 0.1500 | 0.000000 |
| dif3yfut | -0.1439 | 0.000000 |
| dif8yfut | 0.0000 | -0.495322 |
| gold11 | 0.0735 | 0.000000 |
| ibovfut | 0.0000 | 0.000000 |
| lo_timing new | 0.2189 | 0.000000 |
| ls new | 0.6667 | 0.000000 |
| ntnb5y_idka | 0.0000 | 0.500000 |
| smal11 | -0.0628 | 0.000000 |
| spxfut | 0.2529 | 0.000000 |
| usdbrlfut | 0.0246 | 0.000000 |
| ust10yfut | 0.7647 | 0.000000 |
Total: 187.59254336357117
Total: 208.14668917655945